Zusammenfassung:
This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries as well as for a subset of 18 Asian ones, which are also divided in two clusters on the basis of their degree of market capitalisation. The results suggest a negative impact of climate physical risk on stock markets; this effect is more pronounced in Asian countries with lower market capitalisation, which are perceived as riskier.